Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0461
Annualized Std Dev 0.3066
Annualized Sharpe (Rf=0%) -0.1505

Row

Daily Return Statistics

Close
Observations 4506.0000
NAs 1.0000
Minimum -0.2053
Quartile 1 -0.0043
Median 0.0008
Arithmetic Mean 0.0000
Geometric Mean -0.0002
Quartile 3 0.0054
Maximum 0.3471
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0006
Variance 0.0004
Stdev 0.0193
Skewness 1.1594
Kurtosis 47.7025

Downside Risk

Close
Semi Deviation 0.0137
Gain Deviation 0.0163
Loss Deviation 0.0177
Downside Deviation (MAR=210%) 0.0176
Downside Deviation (Rf=0%) 0.0137
Downside Deviation (0%) 0.0137
Maximum Drawdown 0.8092
Historical VaR (95%) -0.0227
Historical ES (95%) -0.0481
Modified VaR (95%) -0.0063
Modified ES (95%) -0.0063
From Trough To Depth Length To Trough Recovery
2007-06-06 2008-11-21 NA -0.8092 3473 372 NA
2004-01-14 2004-05-10 2006-08-24 -0.1628 659 81 578
2003-05-20 2003-08-18 2004-01-09 -0.1257 163 63 100
2007-03-01 2007-03-05 2007-05-03 -0.0591 45 3 42
2006-09-29 2006-10-16 2006-12-04 -0.0479 46 12 34

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA -0.1 -0.3 0.7 0.1 -0.1 1.4 0.2 0.7 0.3 2.9
2004 1.1 0.5 0.7 0.3 0.2 0.8 0.7 0.8 0.1 0.5 0.2 0.3 6.4
2005 0.1 0.5 0.1 0.1 0.3 0.7 -0.3 0.3 -0.1 -0.1 0.8 0.4 3.2
2006 0.1 0.2 -0.4 -0.3 0.1 0.3 0.5 0.6 -0.6 -0.6 0.2 0.1 0.1
2007 0.1 -0.4 -0.3 0.1 0.1 1 -1.8 2.9 0.8 -0.9 2.8 -0.2 4.3
2008 0.5 -0.9 2.1 0.6 0.2 -0.6 1.4 -0.3 2.3 -0.5 -4.3 2.2 2.6
2009 -1.7 8.6 -2.9 0.8 1.5 2.3 0.9 -2.1 -2 -2 0.2 -4 -0.9
2010 1.3 2 0.4 0.6 0 0.2 0.1 2.7 0.2 0.3 0.1 1.3 9.5
2011 0.4 0.3 -0.1 0.1 -0.9 1.6 3.4 -0.9 -2.7 -2.1 -0.1 -0.3 -1.5
2012 1 0.1 0.2 0.8 -0.7 0 -0.1 0.3 0.7 1.3 -0.8 0.8 3.6
2013 0.7 -0.5 0.2 -0.1 -3.2 0.9 -0.5 0.3 0.3 -0.6 1.1 0 -1.4
2014 0.5 0.8 0.5 0.5 0.7 0.1 -1.3 0.3 0.9 -0.2 0.4 -2.8 0.1
2015 1.5 -0.2 0.8 0.1 1.2 0.5 0.8 -0.3 -0.9 0.9 -0.9 -1.1 2.5
2016 1.4 1.2 0.1 1 0.1 1 -0.2 -0.1 0.6 4.6 -0.1 0.3 10.5
2017 0.5 -0.6 0 0.2 -0.1 0.2 -0.9 0.2 0.2 -1.1 0.1 0.3 -0.9
2018 0 0 0.4 0.5 0.4 1.2 0.8 -0.1 0 1 -0.2 0.3 4.3
2019 -0.8 0.5 0.2 1.8 -0.4 0.8 0.6 0.6 0 0 0.1 0.1 3.6
2020 -0.1 -3.5 -4.3 -0.2 3.7 0 0.2 1.5 0.5 -0.4 1.4 0.5 -1
2021 0.8 1.1 -0.5 NA NA NA NA NA NA NA NA NA 1.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart